Stress test를 통한 한국증권, 선물시장의 결제 이행보증기금의 추정

The Korean securities and derivatives markets, which offer such internationally renowned products as KOSPI 200 futures and options, along with proliferation of such derivative securities as ELS have offered an opportunity for investors to manage risk and select investment products for all different future prospects. However, if the market was to face with a shock in the magnitude of, for instance, the Black Monday of October 1987, possibly the market may trap into total confusion as the increased demand for portfolio insurance could enlarge the volatility of both cash and derivatives markets. In this paper we estimate the amount of settlement fund required in the Korean securities and derivatives markets via stress testing if the market falls into an extreme case of vulnerability. The required settlement fund was estimated using two step procedures. Firstly, we estimate market risk applying three different approaches, namely, 99% VaR, EVT and the historical time periods when the market exhibited extreme volatility. We found that from six member companies to as many as 16 companies could face settlement failures, which are represented by having the operating-income-to-capital ratio of less than 100%. Secondly, after estimating each company's settlement amount and summing them to forecast the aggregate amount of settlement fund, it was found that at maximum 350 billion won was required for settlement fund. However, as OTC products become more popular in the near future, the required settlement fund will be larger. Especially if the CCP takes over the OTC market in terms of settlement and clearing, it is expected that the emergency settlement requirement will even become larger.